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Andria Prima Ditago
Institut Teknologi Sepuluh Nopember, Surabaya
Computer Science & IT

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Simulation Study of Parameter Estimation Two-Level GSTARX-GLS Model Andria Prima Ditago; Suhartono Suhartono
IPTEK Journal of Proceedings Series No 1 (2015): 1st International Seminar on Science and Technology (ISST) 2015
Publisher : Institut Teknologi Sepuluh Nopember

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.12962/j23546026.y2015i1.1167

Abstract

GSTAR is a special form of the VAR model and is one of the commonly used models for modeling and forecasting time series data and location. At GSTAR modeling, estimation method used is OLS, the method is considered to have a weakness, which will result in an inefficient estimator. Thus, one appropriate method is GLS. In this study, conducted modeling GSTARX two levels by adding a predictor of calendar variation model. Parameter estimation of the first level models made of predictors with a linear regression model, while the second level models using error models which is done on first level with GSTAR model. Calendar variation model discussed is the impact of Ramadhan effect. Results of the simulation study showed that GSTAR-GLS models produces a more efficient estimator than GSTAR-OLS, seen from the obtained standard error smaller.
Co-Authors Suhartono Suhartono